Stock market’s reactions to revelation of tax evasion: an empirical assessment

Andreas Brunhart

MPRA Paper from University Library of Munich, Germany

Abstract: Additionally to the financial crisis causing a world recession, Liechtenstein’s financial sector has been challenged by the so-called “Zumwinkel-Affair”, when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair, separated from the financial crisis, on the daily stock prices of banks from Liechtenstein. An “unconventional” augmented GARCH-model (labelled as “augmented amalGARCH”), which outperforms conventional models, is introduced and analyses the dynamical pattern and other influences on risk and average performance. Besides other findings, it can be concluded that the Zumwinkel-Affair had an (accumulating) effect on risk of stocks, but surprisingly no impact on average stock returns could be detected.

Keywords: Tax evasion; Liechtenstein; financial institutions; stock price volatility; augmented GARCH; amalGARCH (search for similar items in EconPapers)
JEL-codes: C01 C22 G01 G21 (search for similar items in EconPapers)
Date: 2011-10, Revised 2012-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment (2014)
Working Paper: Stock market's reactions to revelation of tax evasion: An empirical assessment (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42047

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